Manage EUR/USD cross-currency risk with a single futures contract
Trade the 3-month IMM dated EUR/USD cross-currency basis with a single futures contract that is cash settled at the beginning of the reference period to the CME EUR/USD Cross-Currency Basis Index (XEURBI).
This index accurately tracks the nearby quarterly-IMM dated basis and is calculated from simultaneously observed prices in our SOFR, ESTR and EUR/USD futures prices.
Resources
Features and benefits
Streamlined exposure
Utilize a single contract, ideal for when principal exchange is not needed or is undesirable.
Monitor systematic market stress
Monitor and manage exposure to market risk in short-dated cross-currency markets.
Price discovery in a transparent market
Go beyond OTC markets with a cleared, efficient trading solution.
New trading opportunities
Express risk or hedge against traditional deliverable cross-currency instruments.
Tool
Cross-Currency Basis Watch
Evaluate the magnitude of the EUR/USD cross-currency basis for short-dated and forward-starting IMM periods. Use the tool to compare the Forward FX swap price with the theoretical price implied by interest rate differentials observed from listed futures.
Vendor codes
CME Group Name/Venues/Symbols | CME Group Codes | Bloomberg | CQG | DTN, Inc | Fidessa (ION) | FIS Global | ION Group | Itiviti | Refinitiv | Trading Technologies | Vela Trading Systems | ||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CME Group Product Name | Futures/Options | Globex | Clearport | All Venues | All Venues | All Venues | All Venues | All Venues | All Venues | All Venues | Composite | All Venues | All Venues |
EUR/USD Cross-Currency Basis Futures | Futures | XEU | XEU | XEEA Curncy | - | @XEU | XEU | XEU | XEU | XEU | UEX | XEU | XEU |
Trade Cross-Currency Basis futures on CME Direct
A fast, secure and highly configurable trading front end, CME Direct offers a one-stop shop for accessing Cross-Currency Basis futures liquidity across CLOB trading, RFQs and block negotiation/reporting workflows. Not on CME Direct? Get started.
Download the Cross-Currency Basis futures trading grid
- Right click on the link and select "Save link as...".
- Save the file as an .XML on your computer.
- In CME Direct, select import view in the main menu.
- Import the grid into CME Direct.
- Under Menu, click on Save Window Layout.
Explore Cross-Currency Basis futures
Connect with a member of our expert Interest Rate team to get more information about our products, find a broker or to contact a market maker.